Power Prices

Name: Power Prices
Brand: Sudwestdeutscher Verlag Fur Hochschulschriften AG
SKU: 9783838100791
Price: 92.83 EUR
Availability: InStock

A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation

Автор: Lea Bloechlinger

Език:

Корици: С меки корици

Издател: Sudwestdeutscher Verlag Fur Hochschulschriften AG

Наличност: Налично при издателя, по поръчка

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92.83 € 181.56 лв

Over the last decade, European electricity markets§have experienced rapid deregulation and§liberalis...

Информация за книгата

Автор

Lea Bloechlinger

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

256

EAN

9783838100791

ISBN

3838100794

Enbook ID

06888837

Издател

Sudwestdeutscher Verlag Fur Hochschulschriften AG

Теглоt

345

Размери

152 x 229 x 14

Пълно описание

Over the last decade, European electricity markets§have experienced rapid deregulation and§liberalisation. This has caused electricity prices to§become highly volatile and exhibiting very distinct§characteristics such as strong seasonal patterns,§extreme spikes and mean-reverting behaviour. In this§work the electricity spot and futures prices observed§at the European Energy Exchange are analysed. A§general multi-factor affine diffusion model combined§with a finite q-state Markov regime-switching process§is presented which incorporates the stylised features§of both spot and futures prices. The model is§estimated using a maximum likelihood approach where§the likelihood function is evaluated applying§Kalman/Kim filter techniques. In order to quantify§the seasonal patterns, regression models are§developped. Their results provide the seasonal§structure for the price model and also build the§basis for the construction of an hourly price forward§curve. The models performance is assessed comparing§historical and model implied price characteristics.

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Power Prices

A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation

Информация за книгата

Пълно описание

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